Here's the philosophy, I think -
Outside a "skill challenge" you can make single checks and rolls. You come to a locked door in a dungeon, the rogue moves up and unlocks it. Bam, Thievery check, no problem.
However, a "skill challenge" is specifically a
challenge designed to engage all the characters. Your group will get XP for the encounter, and just as much thought and preparation should go into it on the DMs part as does a normal combat. The rogue does not get XP for unlocking the door above, but will get XP if he uses the Thievery skill in a "challenge."
With that said...
Given a complex "trap" as a skill challenge, like the example given by the OP: a crushing wall with a locked door.
When the rogue makes a Thievery check, he does so not to unlock the door, but to
make progress in unlocking the door. Perhaps a successful check results in one or two of the tumblers falling into place, but not all. Or it means that he has positioned his tools within the lock perfectly. A success means that the rogue has
made progress, and you need multiple successes in order to complete the whole challenge.
Now, granted, I agree that the "crushing wall and locked door" challenge isn't the best of examples. However, how about this...
Indiana Jones Style
Short Round steps on the button, Indiana can't make it to the closing door in time, and Willie is inside the room instead.
You have a crushing ceiling, with spikes. Spikes rise up from the floor. Must find the lever to disable the trap and unlock the door.
PC 1: I use Thievery to disable the trap!
DM: How? All you see is the spikes in the ceiling above you. From your point of view, there's nothing to disable.
PC 1: Uh, crap. How about I use Thievery to unlock the door!
DM: How? There is no lock. The door slid completely shut.
PC 1: Uh, crap. Uh, I use Perception.
DM: To do what?
PC 1: Um... I'm looking for any cracks in the wall or the door, hoping to find a lock, a handle, a lever, something as a failsafe to disable the trap from the inside. *rolls* Fails
DM: (1 failure) Okay. You look around, wild-eyed, and see nothing.
PC 2: Um... I try to stall for time. I pick up a skull and try to cram it in the corner of the wall and the ceiling.
DM: Okay. The ceiling is still pretty high, so... roll an Acrobatics check.
PC 2: *rolls* Succeeds
DM: (1/5 success, 1/3 failure) Great! You jump into the corner, rotting skull in hand, and wedge it into the corner. The ceiling is still descending, but slightly slower as the skull screeches against the wall.
PC 3: I use Perception, looking for the same things PC1 did. *rolls* Succeeds
DM: (2/5 successes, 1/3 failure) Amazing! You find one hidden nook, obscured by cobwebs and vegetation. You have time to make another check, with a +2.
PC 3: Woohoo! Well, my thievery is really no good, I can't do much about it. How about I try Dungeoneering to figure out how to disable it. *rolls* Succeeds
DM (3/5 successes, 1/3 failure) All right, from some reports back from various other adventurers you've overheard that have visited similar ruins, you know that there should be a lever of some kind in the nook to disable the trap. *pauses* Everyone roll an Acrobatics check.
PCs: ??? WHY?
DM: Spikes just rose from the ground.
*roll* *roll* *roll*
DM: PCs 2 and 3, you manage to avoid the spikes. PC 1, take 1d4+2 damage.
PC 1: Aw, crap.
DM: You're up.
PC 1: Finally! NOW can I use Thievery?
DM: Sure.
PC 1: I head over to the nook, avoiding the spikes, and try to find this lever. *rolls* Succeeds YES!
DM: (4/5 successes, 1/3 failure) As the ceiling descends, the spikes are getting closer and closer, each of you needing to maneuver around both those from the ceiling and the floor. PC 1 manages to reach his arm through, and yank the lever. The ceiling stops, but does not reverse.
PC 2: Okay. I roll a History check to figure out if I know of similar dungeons that might have an escape hatch, or a way to open the door from the inside. *rolls* Failure
DM: (4/5 successes, 2/3 failures) (Knowing that the party needs either 5 successes or 3 failures, the next roll will determine success or not.) As you think for a moment, the ceiling begins descending again. You took too long! In just a moment all of you will be crushed to a pulp. Only PC3 has time to act.
PC3: Ohmygodohmygod. Uh, uh.... I roll History for the same thing! *rolls* Succeeds
DM: (5/5 successes, 2/3 failures) You recall that the lever only needs to be pushed further in, past the first click that stopped the ceiling in the first place.
PC3: Push the lever in! Hurry!
PC1: I shove in the lever!
DM: Congratulations! The spikes recede, the ceiling raises, and the door rolls open to reveal the passage beyond.
PCs: *sigh*
Now,
(1) I agree that setting up a skill challenge where a TPK is a possible outcome is not a good idea. In combat, that's fine: you have tens to hundreds of rolls going on. In a skill challenge, rarely more than ten. Total failure in a Skill Challenge should have penalties, but not outright death of the party.
And,
(2) the above example is how Thievery does not automatically "win." Perhaps, first, before even trying Thievery, you have to find out what actually need to disable in the room: not all traps have an obvious control panel. Dungeoneering, History, Perception all help this. Also, perhaps disabling the device only gets you halfway there. Perhaps there is more to disable? A second trick, a second panel? Who knows? You need more checks to find out.
The Skill Challenge system, in many ways, promotes creativity. If a character "solves" the skill challenge on the first roll, and you as a DM know they really should have four more successes,
make something up! Then leave the players to come up with more solutions. Because they will. And the trap/challenge/whatever will be far more gratifying in the end because the DM decided to make it more difficult than a single roll.